Including a directory where Server=x.x.x.x parameter is in one of the included files doesn't work, this file has to be Included separately, before include of whole directory.

Include=/etc/zabbix/zabbix_agentd/

Starting Zabbix agent daemon: zabbix_agentd
zabbix_agentd [28682]: Missing mandatory parameter [Server].

When I include file with Server=x.x.x.x FIRST, including other files in whole directory works:
Include=/etc/zabbix/zabbix_agentd/server.conf
Include=/etc/zabbix/zabbix_agentd/